Counterfactual Analysis With Artificial Controls: Inference, High Dimensions, and Nonstationarity

2021
Recently, there has been growing interest in developing statistical tools to conduct counterfactual analysis with aggregate data when a single treated unit suffers an intervention, such as a policy change, and there is no obvious control group. Usually, the proposed methods are based on the construction of an artificial counterfactual from a pool of untre ated peers, organized in a panel data structure. In this article, we consider a general framework for counterfactual analysis for high-dimensional, nonstationary data with either deterministic and/or stochastic trends, which nests well-established methods, such as the synthetic control. We propose a resampling procedure to test intervention effects that does not rely on postintervention asymptotics and that can be used even if there is only a single observation after the intervention. A simulation study is provided as well as an empirical application. for this article are available online.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
页码:1773-1788|卷号:116|期号:536
ISSN:0162-1459
收录类型
SSCI
发表日期
2021
学科领域
循证社会科学-方法
国家
巴西
语种
英语
DOI
10.1080/01621459.2021.1964978
其他关键词
ERROR-CORRECTION; ADAPTIVE LASSO; SELECTION; COINTEGRATION; REGRESSION
EISSN
1537-274X
资助机构
CNPqConselho Nacional de Desenvolvimento Cientifico e Tecnologico (CNPQ); CAPESCoordenacao de Aperfeicoamento de Pessoal de Nivel Superior (CAPES)
资助信息
The work of Marcelo C. Medeiros is partly funded by CNPq and CAPES. The authors gratefully acknowledge the invaluable comments and guidance of the guest coeditors, Alberto Abadie and Matias Cattaneo as well as three anonymous referees. The authors are thankful for the comments from Frank Diebold, Jianqing Fan, Marcelo Fernandes, Guido Imbens, Anders B. Kock, Sophocles Mavroeidis, Eduardo F. Mendes, Pedro Souza, Normam Swanson, Michael Wolf, and participants during seminars at Princeton University, Rutgers University, University of Pennsylvania, Warwick University, Oxford University, Sao Paulo School of Economics, Pontifical Catholic University of Rio de Janeiro, and University of Brasilia as well as during the 2018 Latin American Meeting of the Econometric Society, Guayaquil, Ecuador and the Barcelona GSE summer forum. A special acknowledgment goes to Etienne Wijler for insightful and technical discussions.
被引频次(WOS)
2
被引更新日期
2022-01
来源机构
Getulio Vargas Foundation Pontificia Universidade Catolica do Rio de Janeiro Princeton University
关键词
Cointegration Comparative studies panel data Intervention Policy evaluation Resampling Synthetic control